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Subgradients and the Subdifferential of a Real-Valued Function on a Subset of Rn\mathbb{R}^n

A subgradient of f at x is a vector a for which the affine function f(x) + a.(y - x) lies below f on its whole domain; the subdifferential is the set of all subgradients.

Statement

In the setting of Convex Functions on Rn\mathbb{R}^n: Standing Notation, let C⊆RnC\subseteq\mathbb{R}^{n}, let f:C→Rf:C\to\mathbb{R} be a function, and let x∈Cx\in C.

Subgradient. A point a∈Rna\in\mathbb{R}^{n} is a subgradient of ff at xx if

f(y)≥f(x)+a⋅(y−x)for every y∈C.f(y)\ge f(x)+a\cdot(y-x)\qquad\text{for every }y\in C.

Subdifferential. The subdifferential of ff at xx is the set

∂f(x)={a∈Rn: a is a subgradient of f at x}\partial f(x)=\bigl\{a\in\mathbb{R}^{n}:\ a\text{ is a subgradient of }f\text{ at }x\bigr\}

of the subgradients of ff at xx.

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